---
title: Fama-French Five-Factor Model vs. Machine Learning
url: https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-13-p-2988-d-1186815/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:gam:jmathe:v:11:y:2023:i:13:p:2988-:d:1186815
source_url: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F13%2F2988%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A13%3Ap%3A2988-%3Ad%3A1186815
featured: 2023-07-12
citations: unknown
topic: Asset Pricing & Factors
---


# Fama-French Five-Factor Model vs. Machine Learning

The paper develops a seven-factor model for the A-share market, compares five machine learning algorithms, and discovers that SVM and random forests enhance fitting power, while the performance of lasso, ridge, and neural networks varies.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F13%2F2988%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A13%3Ap%3A2988-%3Ad%3A1186815
- Identifier: RePEc:gam:jmathe:v:11:y:2023:i:13:p:2988-:d:1186815
- Released: 2023-07-12
- First featured: Quant Letter No. 7 (2023-07-12): https://www.ml-quant.com/issues/2023-07-12/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

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